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Euro area sovereign bond market liquidity since the start of the PSPP

Author

Listed:
  • Jurkšas, Linas
  • Kapp, Daniel
  • Nyholm, Ken
  • von Landesberger, Julian

Abstract

The liquidity of euro area sovereign bond markets is important for the transmission of the ECB’s monetary policy. In particular, a high degree of liquidity fosters the link between the ECB’s monetary policy decisions, the yield curve, financial asset prices in general, and the overall cost and flow of finance in the economy. The liquidity of sovereign bond markets needs to be monitored more closely since the implementation of the ECB’s public sector purchase programme (PSPP), under which a significant share of outstanding euro area sovereign bonds has been bought. Against this background, this box presents some of the market liquidity indicators that the ECB monitors regularly. Overall, the indicators suggest that liquidity conditions in sovereign bond markets have not deteriorated since the start of the PSPP (on 9 March 2015). JEL Classification: E52, G12, G14

Suggested Citation

  • Jurkšas, Linas & Kapp, Daniel & Nyholm, Ken & von Landesberger, Julian, 2018. "Euro area sovereign bond market liquidity since the start of the PSPP," Economic Bulletin Boxes, European Central Bank, vol. 2.
    • Handle: RePEc:ecb:ecbbox:2018:0002:2
    Note: 1884807
    as

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    File URL: https://www.ecb.europa.eu//pub/pdf/other/ebbox201802_02.en.pdf
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    Citations

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    Cited by:

    1. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
    2. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    3. Linas Jurksas & Hector Carcel, 2019. "Euro Area Government Bond Yield and Liquidity Dependence during different Monetary Policy Accommodation Phases," Bank of Lithuania Working Paper Series 60, Bank of Lithuania.
    4. Jurksas Linas, 2018. "What Factors Shape the Liquidity Levels of Euro Area Sovereign Bonds?," Open Economics, De Gruyter, vol. 1(1), pages 154-166, December.

    More about this item

    Keywords

    asset pricing; general financial markets; monetary policy;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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